Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 5 6 5
Score -1.37 -0.59 -0.57
Market Cap (Millions USD) 3396.88 4238.99 4335.29
Predicted Beta 0.56 0.56 0.56
Idiosyncratic Volatility 1.41 1.75 2.24

Annualized return and volatility

XLB
Annualized Return 0.0670
Annualized Std Dev 0.2357
Annualized Sharpe (Rf=0%) 0.2844

Row

Daily Return Statistics

XLB
Observations 5112.0000
NAs 2.0000
Minimum -0.1241
Quartile 1 -0.0067
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0080
Maximum 0.1406
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0148
Skewness 0.0301
Kurtosis 6.2435

Downside Risk

XLB
Semi Deviation 0.0106
Gain Deviation 0.0104
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0104
Downside Deviation (0%) 0.0104
Maximum Drawdown 0.5982
Historical VaR (95%) -0.0235
Historical ES (95%) -0.0346
Modified VaR (95%) -0.0221
Modified ES (95%) -0.0333
From Trough To Depth Length To Trough Recovery
2008-05-21 2009-03-02 2013-05-08 -0.5982 1270 202 1068
2000-01-07 2000-09-27 2003-12-01 -0.3656 997 185 812
2015-02-25 2016-01-25 2016-12-05 -0.2689 456 235 221
2018-01-29 2018-12-24 NA -0.2467 490 233 NA
2005-03-07 2005-10-13 2006-01-06 -0.1684 216 157 59

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec XLB
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 1.8 -1.0 0.0 -0.1 0.3 0.0 0.1 -1.0 0.0 -0.8 3.3 0.0 2.5
2001 0.5 0.1 0.0 1.1 0.8 0.0 -0.5 0.0 0.3 2.2 0.0 0.0 4.7
2002 -0.5 1.5 -0.5 0.1 0.0 -0.6 -0.6 0.0 6.2 2.1 0.0 0.0 7.8
2003 0.0 0.0 1.1 -0.7 0.0 -0.2 -1.0 0.0 1.7 0.0 3.0 0.0 3.8
2004 0.0 1.6 0.7 0.0 -0.2 -1.8 0.0 0.4 0.5 0.1 0.9 0.0 2.3
2005 0.8 0.1 -0.3 0.0 1.5 -0.1 -0.5 0.3 0.0 0.3 2.0 0.0 4.2
2006 0.3 1.5 0.0 0.7 1.1 0.0 -0.8 1.1 0.0 -0.8 -0.8 0.0 2.3
2007 1.2 -0.4 0.0 -0.4 1.4 0.0 0.6 0.0 1.9 -3.5 0.0 0.0 0.7
2008 2.4 0.0 3.2 -0.7 0.0 -1.8 -1.8 0.0 -1.6 0.0 -8.5 0.0 -8.9
2009 0.0 0.0 2.0 0.2 3.1 0.2 0.0 -3.0 -3.9 0.0 1.9 0.0 0.4
2010 4.0 1.5 1.7 0.0 -3.2 -0.6 0.0 3.0 1.3 -0.1 2.7 0.0 10.7
2011 2.7 -2.5 0.4 0.0 -3.1 0.9 -0.3 -1.4 0.0 -2.7 -0.6 0.0 -6.6
2012 1.0 1.1 0.0 0.6 -2.1 0.0 0.0 0.0 0.3 1.9 0.0 0.0 2.9
2013 1.2 0.1 -0.9 -1.8 0.0 0.6 0.7 0.0 0.4 -0.2 0.0 0.0 0.1
2014 0.0 0.0 0.5 -0.6 0.0 0.2 0.1 0.0 -2.4 0.0 -1.0 0.0 -3.1
2015 0.0 0.0 0.3 1.6 0.0 0.6 0.0 -3.0 1.1 0.0 0.7 0.0 1.2
2016 0.4 2.6 1.0 0.0 0.1 0.0 -0.6 0.4 0.0 -0.6 0.0 0.0 3.4
2017 0.5 2.0 0.0 0.1 1.2 0.0 0.1 0.7 0.0 0.5 -0.8 0.0 4.2
2018 -1.4 -1.0 0.0 -0.1 1.5 0.0 -1.0 0.0 1.0 2.8 0.0 0.0 1.8
2019 0.3 -0.1 1.5 -1.8 0.0 0.8 -0.6 0.0 -2.4 1.4 0.0 0.1 -0.8

Row

Rolling Performance Chart

Snail Trail Chart